Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0014
Annualized Std Dev 0.1463
Annualized Sharpe (Rf=0%) 0.0096

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1487
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.1005
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0092
Skewness -1.4074
Kurtosis 33.1680

Downside Risk

Close
Semi Deviation 0.0069
Gain Deviation 0.0064
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.4658
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0218
Modified VaR (95%) -0.0123
Modified ES (95%) -0.0123
From Trough To Depth Length To Trough Recovery
2007-05-03 2008-10-09 2016-07-01 -0.4658 2309 364 1945
2020-02-11 2020-03-19 NA -0.3665 280 27 NA
1999-01-13 2004-05-10 2006-06-30 -0.2652 1878 1338 540
2017-10-16 2018-10-15 2019-06-27 -0.2077 427 252 175
2016-07-13 2016-12-12 2017-10-13 -0.1711 318 107 211

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 0.5 0 0 2 1 0.5 -1.6 -0.6 1.1 3
2000 1.7 0 3.4 0 0.6 0.6 0 0.5 0 -0.5 2.1 1.5 10.2
2001 0.3 -0.4 0.6 -0.2 0 0.4 0.1 -0.2 1.3 0.5 0.3 0.4 3.3
2002 -0.4 -0.7 0.7 1.3 0.4 0.8 1.9 1.3 -0.2 1.9 0.9 0.3 8.4
2003 0.3 0.1 0.1 1 0 0.7 -0.6 0.3 -0.5 0.4 0.1 -0.3 1.6
2004 -0.2 0 0.1 1.3 -0.5 1.2 0.3 -0.5 0.2 1.5 -0.2 -0.1 3.1
2005 0.3 0.8 0.8 0 1.4 -0.1 -1.1 0.9 0.1 0.3 -0.1 -0.1 3.2
2006 -1.1 -0.9 0.5 -0.1 0.8 0.8 0.8 0.4 -0.3 0.2 -0.2 1 2
2007 0.7 0.3 0.4 0.2 -3 0.5 -0.6 -0.1 0.8 -0.3 -2 1.4 -1.8
2008 0.1 -0.6 -0.4 1.6 -0.3 0.8 0 -0.1 2.6 0.2 -2.8 2.4 3.4
2009 -0.8 0.1 2.3 1.8 0.5 -1.2 0.4 -0.3 -1 0.3 0.1 0.1 2.3
2010 -0.6 0.5 0.1 -0.3 0.6 0.4 -0.5 -0.2 1 -0.3 -0.9 1.7 1.3
2011 0 0.4 1 0 0.2 -0.2 0.8 0 -0.1 0.4 -0.2 0.6 2.8
2012 -0.3 0.1 1.2 0.7 0.2 0.4 -0.4 0.4 0.5 -0.4 0.9 0.6 4
2013 0.3 -0.1 1.3 -0.3 -1 0.7 -0.5 -0.4 0.2 -1.2 -0.2 0.2 -1.2
2014 0.1 0.2 -0.2 0.8 -0.3 -0.1 0.5 0.4 0.7 0.4 -0.1 -0.1 2.3
2015 0.6 1.3 1.3 -1.3 0.2 0 0.4 0.7 -0.3 -0.6 0.4 -0.3 2.4
2016 0.6 0.8 -0.1 0.1 1.3 0.5 0.1 -0.4 0.5 0.1 -1.6 0.4 2.3
2017 -0.5 -0.7 -0.1 -0.1 -0.2 0.5 0.3 -0.3 0 0.4 0.9 -0.3 -0.1
2018 0.4 -0.1 0.6 0.2 0.2 0.2 0.6 0.1 0.3 1.6 0.1 -1.1 3.1
2019 1.3 0.2 0 -0.2 -0.1 1.2 0.3 -0.6 1.3 0.6 0.5 0.4 5
2020 0.5 -1.5 -6.6 0.8 0.8 0.4 0 0.7 0.7 -0.2 0.1 0.8 -3.8
2021 -0.7 0.6 0.7 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.5 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart